Sieve bootstrap for time series

DOI10.2307/3318584MaRDI QIDQ1363399zbMATH OpenOpenAlexFDO

Authors Peter Bühlmann

Publication date 13 November 1997

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bj/1177526726

zbMATH Keywords

residualsconsistencyrate of convergenceARMAautoregressive approximationAkaike information criterionautoregressive processesblockwise bootstrapsieve bootstrapthreshold modellinear processstationary sequencemodel-freeAR\((p(n))\) modelautoregressive spectrum

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
• Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
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• Forecasting time series with sieve bootstrap
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• Multiple mortality modeling in Poisson Lee-Carter framework
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• Sieve Extremum Estimates for Weakly Dependent Data
• A time series bootstrap procedure for interpolation intervals
• Modelling dependent data for longevity projections
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• Tests for \(m\)-dependence based on sample splitting methods
• Bootstrap Methods for Time Series
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• Detrending bootstrap unit root tests
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• A smoothed bootstrap test for independence based on mutual information
• Modified fast double sieve bootstraps for ADF tests
• Bootstrapping INAR models
• Bootstrap-based ARMA order selection
• On the range of validity of the autoregressive sieve bootstrap
• A bootstrap test for time series linearity
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
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• Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis
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• DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
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• The fast iterated bootstrap
• The multistep Beveridge-Nelson decomposition
• Bootstrap order determination for ARMA models: a comparison between different model selection criteria
• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
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• Catching uncertainty of wind: a blend of sieve bootstrap and regime switching models for probabilistic short-term forecasting of wind speed
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• Hermite expansion and estimation of monotonic transformations of Gaussian data
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• A test of symmetry based on L-moments with an application to the business cycles of the G7 economies
• Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
• Model-free bootstrap for a general class of stationary time series
• Diagnostics for the bootstrap and fast double bootstrap
• On the accuracy of bootstrapping sample quantiles of strongly mixing sequences
• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
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• A test for fractional cointegration using the sieve bootstrap
• Forecasting nonlinear time series with neural network sieve bootstrap
• Testing for Neglected Nonlinearity in Cointegrating Relationships
• SETAR model selection -- a bootstrap approach

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